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Les effets du taux d'intérêt réel sur l'activité en France

  • Lucrezia Reichlin
  • A. Mathis

[eng] This paper presents the results of an empirical investigation of the effects of an exogeneous real interest rate shock on the French economy. We used two vectorial autoregressive models and analysed the dynamics of the impulse response functions. The first model is built with real variables and the second is in nominal terms with a cointegra- tion relation where the cointegrating term is the real interest rate. Our results suggest that a real interest rate shock is an inflationary shock and that inflation has a depressing impact on economic activity. These results support a theory of business cycle based on the « customer market » hypothesis against the ones based on competitive and oligopolistic pricing. [fre] Cet article présente les résultats d'une étude empirique des effets de choc exogènes de taux d'intérêt réel sur l'économie française. Pour ce faire, nous avons utilisé deux modèles autorégressifs vectoriels et étudié leur dynamique suite à des perturbations exogènes. Le premier modèle ne comporte que des variables réelles et le deuxième est en termes nominaux avec une relation de cointégration faisant apparaître le taux d'intérêt réel. Nos résultats suggèrent qu'un choc de taux d'intérêt réel est inflationniste et que l'inflation a un impact dépressif sur l'activité économique. Ces résultats sont davantage conformes aux conclusions théoriques des modèles fondés sur l'hypothèse de marchés de clientèle qu'à ceux basés sur une structure concurrentielle ou oligopolistique des marchés.

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Paper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/10209.

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Date of creation: Jun 1992
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Publication status: Published in: Observations et diagnostics économiques (1992) v.42
Handle: RePEc:ulb:ulbeco:2013/10209
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  1. Rotemberg, Julio J & Saloner, Garth, 1986. "A Supergame-Theoretic Model of Price Wars during Booms," American Economic Review, American Economic Association, vol. 76(3), pages 390-407, June.
  2. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  3. Olivier J. Blanchard & Mark W. Watson, 1984. "Are Business Cycles All Alike?," NBER Working Papers 1392, National Bureau of Economic Research, Inc.
  4. Lucrezia Reichlin & Catherine Guillemineau, 1989. "Chômage et croissance en France et aux Etats-Unis: une analyse de longue période," ULB Institutional Repository 2013/10215, ULB -- Universite Libre de Bruxelles.
  5. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
  6. Ben S. Bernanke, 1986. "Alternative Explanations of the Money-Income Correlation," NBER Working Papers 1842, National Bureau of Economic Research, Inc.
  7. Bruce C. Greenwald & Joseph E. Stiglitz, 1988. "Financial Market Imperfections and Business Cycles," NBER Working Papers 2494, National Bureau of Economic Research, Inc.
  8. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
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